Related papers: Path Integral and Asian Options
In this paper I develop a new computational method for pricing path dependent options. Using the path integral representation of the option price, I show that in general it is possible to perform analytically a partial averaging over the…
We derive a closed-form solution for the price of an average price as well as an average strike geometric Asian option, by making use of the path integral formulation. Our results are compared to a numerical Monte Carlo simulation. We also…
An efficient computational algorithm to price financial derivatives is presented. It is based on a path integral formulation of the pricing problem. It is shown how the path integral approach can be worked out in order to obtain fast and…
Path integral method in quantum mechanics provides a new thinking for barrier option pricing. For proportional step options, the option price changing process is similar to the one dimensional trapezoid potential barrier scattering problem…
p-Adic generalization of the Feynman path integrals in quantum mechanics is considered. The probability amplitude for a particle in a constant field is calculated. Path integrals over p-adic space have the same form as those over R.
We use a path integral approach for solving the stochastic equations underlying the financial markets, and we show the equivalence between the path integral and the usual SDE and PDE methods. We analyze both the one-dimensional and the…
We present the path integral formulation of a broad class of generalized diffusion processes. Employing the path integral we derive exact expressions for the path probability densities and joint probability distributions for the class of…
This paper will demonstrate some new techniques for developing the theory of Asian (arithmetic average) options pricing. We discuss the basic derivation of the diffusion equations, and how various techniques from potential theory can be…
The Feynman path integral in p-adic quantum mechanics is considered. The probability amplitude ${\cal K}_p (x^{\prime\prime},t^{\prime\prime}; x^\prime,t^\prime)$ for one-dimensional systems with quadratic actions is calculated in an exact…
In the framework of Black-Scholes-Merton model of financial derivatives, a path integral approach to option pricing is presented. A general formula to price European path dependent options on multidimensional assets is obtained and…
Path integrals are a central tool when it comes to describing quantum or thermal fluctuations of particles or fields. Their success dates back to Feynman who showed how to use them within the framework of quantum mechanics. Since then, path…
This paper derives integral representations for the Black-Scholes price of arithmetic-average Asian options. Their proof is by Laplace inverting the 1992 Laplace transform of Geman-Yor using complex analytic methods. The analysis ultimately…
We prove existence, regularity and a Feynman-Ka\v{c} representation formula of the strong solution to the free boundary problem arising in the financial problem of the pricing of the American Asian option with arithmetic average.
A path integral representation is given for the solutions of the 3+1 dimensional Dirac equation. The regularity of the trajectories, the non-relativistic limit and the semiclassical approximation are briefly mentioned.
Path integral method in quantum mechanics provides a new thinking for barrier option pricing. For proportional double-barrier step (PDBS) options, the option price changing process is analogous to a particle moving in a finite symmetric…
We discuss path integrals for quantum mechanics with a potential which is a perturbation of the upside-down oscillator. We express the path integral (in the real time) by the Wiener measure. We obtain the Feynman integral for perturbations…
We to define a Path Integral in Lorentzian time by restricting the relevant domain of integration on $C([0,1],M)$ over a Riemannian configuration manifold $(M,g)$ and considering the dynamics of a particle evolving between to fixed…
Discretizations of the Feynman-Kac path integral representation of the quantum mechanical density matrix are investigated. Each infinite-dimensional path integral is approximated by a Riemann integral over a finite-dimensional function…
The complex exponential weighting of Feynman formalism is seen to happen at the classical level. (Finiteness of) Feynman path integral formula is suspected then to appear as a consistency condition for the existence of certain Dirac…
It is wellknown that the Feynman kernel for the free particle on the half-line can be expressed as a sum over classical paths if we take the contribution from the reflected path into account. The minus sign for the reflected path needs to…